Sumários
Affine processes
28 Outubro 2024, 19:00 • Szabolcs Sebestyén
Estimation of DTSMs
Applications
- A Gaussian DTSM
Empirical Challenges for DTSMs
Affine processes
28 Outubro 2024, 17:30 • Szabolcs Sebestyén
Dynamic Term Structure Models
- Affine Term Structure Models
- Continuous-Time Affine DTSMs
- Canonical Representation
Affina processes
21 Outubro 2024, 19:00 • Szabolcs Sebestyén
Estimation of Affine Processes
Dynamic Term Structure Models
- No Arbitrage and Risk-Neutral Pricing
- Key Ingredients of a DTSM